"Sweden is in the North."
Translation:Sverige ligger i Norden.
Hmm...I could say "Britain is in Europe," or "Britain is in the European Union." The only reason I can think of why I wouldn't say "in the European countries" is because "the European countries" is an odd phrase in English.
I don't think the problem is saying "Sweden is in the Nordic countries" so much as that "...the Nordic countries" is a bit of a strange phrase. ("The Nordic region" slightly less so; "the Nordic group" even less.) But "Sweden is in the Nordic region" certainly doesn't strike me as wrong per se, just a little odd.
I suppose, if I were to use the phrase, I'd be more likely to say "Sweden is one of the Nordic countries," or "Sweden is part of the Nordic countries."
Indeed, you'd rather say Sweden is one of the Nordic countries, because, as I said in my first comment, 'the Nordic countries' and 'the European countries' are not geographical units in the sense that 'Europe', 'the European Union', 'Great Britain', 'Africa' or even 'the solar system' are.
in the Nordic region works fine, since a region is a unit, 'countries' are not – except 'the Low countries', but that's a different story altogether.